Residual-based tests for cointegration in models with multi-breaks

Junya Masuda ()

Applied Economics Letters, 2008, vol. 15, issue 13, 1001-1006

Abstract: In this article, we propose residual-based tests for cointegration in models with multi-breaks. Cointegration can be tested regardless of whether there exist structural breaks. For a one-point break, we usually use the test proposed by Gregory and Hansen (1996). However, this test has not been considered in the case of multistructural breaks. Therefore, we extend this test by considering multi-point breaks. We derive the asymptotic distribution and critical values of the test statistics. Since the critical values of the test statistics are not exact values, we derive these using the Monte Carlo simulation.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:15:y:2008:i:13:p:1001-1006

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DOI: 10.1080/13504850600972378

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